An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach
The sustainability of the stock market as a result of changes in economic variables is one of the most important issues for economists and investors and stock market activists. Hence, this study base on study of Fouejieu (2017), investigates the sustainability of stock market in the Tehran Stock Exc...
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| Format: | Article |
| Language: | fas |
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Semnan University
2018-02-01
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| Series: | مدلسازی اقتصادسنجی |
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| Online Access: | https://jem.semnan.ac.ir/article_3518_2df94bfb40bb6f5a199b8ef7a10a4aa9.pdf |
| _version_ | 1797296649170583552 |
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| author | Hassan Heidari Arash Refah-Kahriz |
| author_facet | Hassan Heidari Arash Refah-Kahriz |
| author_sort | Hassan Heidari |
| collection | DOAJ |
| description | The sustainability of the stock market as a result of changes in economic variables is one of the most important issues for economists and investors and stock market activists. Hence, this study base on study of Fouejieu (2017), investigates the sustainability of stock market in the Tehran Stock Exchange (TSE) due to changes in the inflation rate and its uncertainty in different regimes of the TSE. To this, investigate the relationship between inflation rate and its uncertainty with stock market return uncertainty using the monthly data from 1998:4 to 2016:3, by applying the Markov Regime Switching Generalized Auto Regressive Conditional Heteroskedasticity approach. And then, we calculated the duration of sustainability in the TSE as a result of inflation changes. The results indicate that the inflation rate has a significant positive effect in the high return regime (bull regime) but, this effect is not statistically significant in the low return regime (bear regime). Moreover, inflation uncertainty has asymmetric effects in different stock market regimes. As well as, the findings indicate the probability of sustainability regime 1 (high return regime) is 29 percent and the probability of sustainability regime 2 (low return regime) is equal to 75 percent. Therefore, the forecasting results indicate that the sustainability of the low return regime will be higher than the high return regime and TSE will be come back faster to the normal situation when it comes out of a low return period (bear regime) and entering to the high return period (bull regime). |
| first_indexed | 2024-03-07T22:07:50Z |
| format | Article |
| id | doaj.art-107e8b8f90b34d19965d264bfde80f2c |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:07:50Z |
| publishDate | 2018-02-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-107e8b8f90b34d19965d264bfde80f2c2024-02-23T18:37:32ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502018-02-01318511010.22075/jem.2018.13053.10983518An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approachHassan Heidari0Arash Refah-Kahriz1Professor of Economics, Urmia universityM.A in Economics, Urmia UniversityThe sustainability of the stock market as a result of changes in economic variables is one of the most important issues for economists and investors and stock market activists. Hence, this study base on study of Fouejieu (2017), investigates the sustainability of stock market in the Tehran Stock Exchange (TSE) due to changes in the inflation rate and its uncertainty in different regimes of the TSE. To this, investigate the relationship between inflation rate and its uncertainty with stock market return uncertainty using the monthly data from 1998:4 to 2016:3, by applying the Markov Regime Switching Generalized Auto Regressive Conditional Heteroskedasticity approach. And then, we calculated the duration of sustainability in the TSE as a result of inflation changes. The results indicate that the inflation rate has a significant positive effect in the high return regime (bull regime) but, this effect is not statistically significant in the low return regime (bear regime). Moreover, inflation uncertainty has asymmetric effects in different stock market regimes. As well as, the findings indicate the probability of sustainability regime 1 (high return regime) is 29 percent and the probability of sustainability regime 2 (low return regime) is equal to 75 percent. Therefore, the forecasting results indicate that the sustainability of the low return regime will be higher than the high return regime and TSE will be come back faster to the normal situation when it comes out of a low return period (bear regime) and entering to the high return period (bull regime).https://jem.semnan.ac.ir/article_3518_2df94bfb40bb6f5a199b8ef7a10a4aa9.pdfforecastmarkov regime switching garch modelnon-conditional probabilitiessustainabilitystock market |
| spellingShingle | Hassan Heidari Arash Refah-Kahriz An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach مدلسازی اقتصادسنجی forecast markov regime switching garch model non-conditional probabilities sustainability stock market |
| title | An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach |
| title_full | An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach |
| title_fullStr | An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach |
| title_full_unstemmed | An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach |
| title_short | An inquiry into the stock market's sustainability as a result of changes in inflation rate and its uncertainty: A Markov Regime-Switching GARCH approach |
| title_sort | inquiry into the stock market s sustainability as a result of changes in inflation rate and its uncertainty a markov regime switching garch approach |
| topic | forecast markov regime switching garch model non-conditional probabilities sustainability stock market |
| url | https://jem.semnan.ac.ir/article_3518_2df94bfb40bb6f5a199b8ef7a10a4aa9.pdf |
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